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Please use this identifier to cite or link to this item: http://hdl.handle.net/2381/10137

Title: Computation of Greeks for asset price dynamics driven by stable and tempered stable processes
Authors: Kawai, Reiichiro
Takeuchi, Atsuchi
Issue Date: 3-Nov-2011
Publisher: Taylor & Francis
Citation: Quantitative Finance (in press)
Abstract: The purpose of this paper is to derive the Greeks formulas of Delta, Gamma, Vega and Theta, for derivative securities with both continuous and discontinuous payoff structures under asset price dynamics described by stable and tempered stable processes with presentation of their practical simulation methods. Our approach is based on the representation of stable distributions using exponential distribution whose scaling property with respect to the Girsanov transform is used in the Malliavin calculus framework on the Poisson space. Numerical results are presented to illustrate the effectiveness of our formulas in Monte Carlo simulations relative to the finite difference method.
DOI Link: 10.1080/14697688.2011.589403
ISSN: 1469-7688
eISSN: 1469-7696
Links: http://www.tandfonline.com/action/aboutThisJo(...)
http://hdl.handle.net/2381/10137
Version: Post-print
Status: Peer-reviewed
Type: Journal Article
Rights: © 2011 Taylor & Francis. Deposited with reference to the journal's archiving policy available on the SHERPA/RoMEO website.
Description: This is an electronic version of an article published in Quantitative Finance (in press). Quantitative Finance is available online at: http://www.tandfonline.com/doi/abs/10.1080/14697688.2011.589403
Appears in Collections:Published Articles, Dept. of Mathematics

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